A note on options and bubbles under the CEV model : implications for pricing and hedging
Year of publication: |
2020
|
---|---|
Authors: | Dias, José Carlos ; Nunes, Joaõ Pedro Vidal ; Cruz, Aricson |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 23.2020, 3, p. 249-272
|
Subject: | Bubbles | CEV model | Greeks | Option pricing | Put-call parity | Local martingales | Spekulationsblase | Optionspreistheorie | Option pricing theory | Hedging | Optionsgeschäft | Option trading | Volatilität | Volatility | Martingal | Martingale | Derivat | Derivative | Griechenland | Greece |
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